FIX Extension Packs

This extension pack provide support for trade submissions and give-up by clients of a Central Counterparty (CCP) clearing house. The enhancements allow the ability to indicate the use of various average pricing models and additional details to show how an average was determined.

This extension pack provides new functionality to FIX Protocol with the addition of a new message type, AllocationInstructionAlertRequest(35=DU), to support the ability for clearinghouse customers to request to receive AllocationInstructionAlert(35=BM) messages from the clearinghouse. Additional enhancements related to clearinghouse 3-party allocation model and allocation groups to support a new average pricing concept for allocated trades called "notional value average price" (NVAP).

This extension pack, initiated by the FIX EMEA Regulatory Subcommittee and the Global Technical Committee, extends the FIX Protocol to meet the requirements of MIFID II and MiFIR. This extension pack covers a fourth set of critical data requirements identified by the committees and sub-working groups.

This extension pack addresses the gaps to the FIX Protocol Application Layer standard to meet the requirements for ESMA RTS 2 and RTS 23 which specifically addresses the data standards and formats for financial instrument reference data.

This extension pack, initiated by the Global Post-Trade Working Group, extends the FIX Protocol to support the separation of different types of commissions as required by MiFID II directive. New values and fields were added to the CommissionDataGrp and AllocationCommissionDataGrp components.

This extension pack, initiated by Fidelity Capital Markets, extends the FIX Protocol to better supports fixed income pricing that may include taxes, the effect of amortization or a floating rate offset. This extension introduces a new component, PriceQualifierGrp, to allow for specifying whether the price includes these additional factors.

This extension pack, initiated by the FIX EMEA Regulatory Subcommittee and the Global Technical Committee, extends the FIX Protocol to meet the requirements of MIFID II and MiFIR. This extension pack covers a third set of critical data requirements identified by the sub-working groups on trade data reporting and order record keeping.

This extension pack, initiated by the FIX EMEA Regulatory Subcommittee and the Global Technical Committee, extends the FIX Protocol to meet the requirements of MIFID II and MiFIR. This extension pack covers a second set of critical data requirements identified by the sub-working groups on transparency, and order data and recordkeeping.

This extension pack, initiated by the CME Group and the FIX Global Technical Committee, providing a collection of trade reporting enhancements, some of which are related to CFTC reporting requirements. Enhancements include adding new TrdSubType(829) values, new TradeHandlingInstr(1123) values, adding an ability to convey collateral amounts for a given trade in the TradeCaptureReport(MsgType=AE) message.

This extension pack, initiated by the FIX Global Technical Committee and Bloomberg L.P. to enhance the QuoteQualifier(695) to support more granular aspects of price negotiation including negotiation phases for securities that require negotiation on multiple factors that affect price.

This extension pack, initiated by the FIX EMEA Business Practices Sub-Committee in collaboration with AFME-IA, introduces an IOI categorisation schema which seeks to provide a common taxonomy for defining IOIs in terms of their price, underlying liquidity and, for client natural IOIs, their temporal availability.

This extension pack, initiated by CME Group introduces new fields to support the options business, specifically the ability to define in security definition messages whether an option security is eligible for contrary instructions and when an option is in the money.

This extension pack, initiated by Deutsche Boerse Group introduces two new FIX message types: CrossRequest(MsgType=DS) and CrossREquestAck(MsgType=DT) to support the announcement, and acknowledgement, of the intention of a cross trade or pre-arranged trade prior to the entry of related orders or quotes.

Other enhancements in this extension pack include enhancements to the ValueChecksGrp component, extensions to MassAction related messages, and additional PartyRoleQualifier values.

This extension pack, initiated by the FIX EMEA Regulatory Subcommittee and the Global Technical Committee, extends the FIX Protocol to meet the requirements of MIFID II and MiFIR. This extension pack covers an initial set of critical data requirements identified by the sub-working groups on transparency, and order data and recordkeeping.

Update History

[Updated 2017 02 01] Added missing fields and components to be added to the ExecutionReport(35=8).

This extension pack supports distinguishing different types of market makers through use of the PartyRole(452) = 66 (Market Maker) and PartyDetailRoleQualifier(1674) with new values for Designated Sponsor and Specialist.

This Extension Pack supports setting risk limits including enabling unsolicited publication of the PartyRiskLimitsReport(35=CM) message, a new field PartyRiskLimitStatus, and the addition of new RiskLimitType(1530) values.

This Extension Pack supports the addition of a compression group identifier for linking netted trades, the addition of a self-match prevention identifier, clarifications on the component and field descriptions related to option exercise and option exercise expiration, and documentation for identification of a swaption straddle using the combination of SecurityType(167) = SWAPTION and SecuritySubType(762) = Straddle.

This Extension Pack supports the US SEC order approving a plan to implement a Tick Size Pilot Program and specifically to meet the requirements for a new order type of Trade At Intermarket Sweep Order (TAISO).

This Extension Pack provides very extensive new functionality in FIX to natively support the ability to fully express OTC derivatives for swaps data reporting meeting the requirements of the CFTC Part 43 and Part 45 rules. Phase 4 covers extensions to support Equity Swaps.

This extension pack, submitted by Bloomberg L.P., extends the values of price type fields to support new and more complex methods for pricing, providing a greater level of consistency among the different price type fields.

This extension pack, initiated by the FIX Clock Synchronization subgroup of the EMEA Regulatory Subcommittee, enhances the precision of time stamp data types with higher resolution and greater granularity in order to meet MIFID II and MiFIR regulatory reporting requirements.

This extension pack enhances the FIX Protocol with a method to identify orders as being retail in order to meet the SEC order for the Nation Market System (NMS) to implement a tick size pilot program by the US exchanges and FINRA, the pilot will commence on May 6th, 2016.

This extension pack includes a new repeating CommissionDataGrp component which may be used as an alternative to the existing CommissionData component when multiple instances of commission or new commission attributes are needed.

This extension pack, initiated by the EMEA Business Practices subcommittee enhances the protocol's support for identification of executions arising from orders or quotes requiring a confirmation during continuous trading and auctions.

This extension pack, initiated by the Post-Trade Working Group (PTWG), includes additional values and new use of the field ClearedIndicator(1832) to support more points of reference in the clearing submission workflow, and additional tags for the MiscFees component to support unambiguous representation of market specific fees.

This extension pack, initiated by Eurex, includes a number of extensions to the standard FIX reference data messages and components as well as a number of new components and a single new message, the MarketDataReport message.

FIX Specification Corrections

Corrections to the FIX Specification for EP105 and EP126 were applied in EP195. These included:

This Extension Pack, initiated by the Global Fixed Income Subcommittee, introduces enhancements to support recent updates to the Cash Bond Best Practices including use of FIX 5.0 SP2 for pre-trade liquidity discovery workflows (Axes, Inventories and Runs) between the sell-side and buy-side. The specific areas of enhancement include:

New RelativeValueGrp component within the IOI(35=6) and Quote(35=S) messages

This Extension Pack, initiated by the CME Group, introduces enhancements to support various implementations related to satisfying regulatory requirements of the Dodd-Frank Act and similar regulations in Europe and Canada. It addresses gaps and enhancements needed to the FIX standard relative to four broad areas:

In addition the Extension Pack includes enhancements relative to Canadian party classification.

The changes and the Extension Pack also make a change to the FIXML standard and resulting FIXML schemas. The previous concept of "optimized implicit block repeating" (OIBR) components is no longer supported. Two remaining components are affected by this change, one of them being enhanced by this Extension Pack and being the reason for the complete removal of OIBR (see section 3.5 for technical details). The related concept of "inlined component reference (ICR)" was introduced and approved at the end of 2011 to make additional usages of OIBR obsolete. Detailed technical information on the ICR concept can be found in Appendix D of the EP105 (Parties Reference Data Proposal) gap analysis (http://www.fixtradingcommunity.org/pg/file/fplpo/read/34004/ep105-parties-reference-data-enhancements ).

Update History

[Updated 2015-08-17] Revised the FIX Repository and FIXML schema reflect changes in EP161, EP169, EP170, EP187 and EP190. With the addition of LegFinancingDetails to InstrmtLegGrp, the InstrmtLegGrp component type was changed to BlockRepeating and the InstrumentLeg was changed to an inlined component to correctly generate the FIXML schema.

[Updated 2014-12-13] Updated FIXML Schema and FIX Repository due to correction of FIXML issue in EP182.

This Extension Pack introduces a number of minor revisions to the market data messages as proposed by the EUREX Group.

Update History

[Updated 2015-08-17] Revised the FIXML Schema and the FIX Repository to reflect changes in EP161, EP169, EP170 and EP187. Revised the ASBUILT, FIX Repository and FIXML schema as follows:

Added the fields SettlPrice(730) and SettlPriceType(731) to the SecurityStatus(35=f) message and added the field SettlPriceType(731) to the MDFullGrp(ID=2031) and MDIncGrp(ID=2032) components. These were incorrectly left out.

Corrected the component category for MarketSegmentScopeGrp(ID=2198) to Common in order to generate a valid FIXML schema
[Updated 2014-05-13] Changed category of MarketSegmentScopeGrp(ID=2198) to "Common" for valid FIXML.

[Updated 2014-12-13] Updated FIXML Schema and FIX Repository due to correction of FIXML issue in EP182.

This Extension Pack introduces new FIX messages to support the transfer of customers' positions from the defaulting clearing firm to one or more target clearing firms as proposed by the Futures Industry Association's Post-trade Working Group.

This Extension Pack provides very extensive new functionality in FIX to natively support the ability to fully express OTC derivatives for swaps data reporting meeting the requirements of the CFTC Part 43 and Part 45 rules. Phase 3 covers extensions to support Foreign Exchange.

In addition to FX support, this proposal includes:

a solution for unlimited nesting of UnderlyingInstrument components needed to report options on OTC derivatives and equity derivatives

deprecation of the LegUnderlyingInstrument and associated components, and

a small enhancement to the RegulatoryTradeIDGrp components introduced in Phase 1 to support reporting of spread-based multileg trades.

Update History

[Resolved 2016-05-02] FIXML Schema missing attributes for components coded with an incorrect type [Jira SPEC-2170]. Field reference for UnderlyingPaymentScheduleRateTreatment(40677) is missing from the UnderlyingPaymentScheduleGrp(ID=4067) component9Jira SPEC-2160]. Resolved in EP208.

[Updated 2015-08-17] Revised the FIX Repository and FIXML schema reflect changes in EP161, EP169, and EP170. Revised the ASBUILT, FIX Repository and FIXML Schema as per details listed in the file EP187_Revisions_20015_08_17.pdf.

[Updated 2014-12-13] Updated FIXML Schema and FIX Repository due to correction of FIXML issue in EP182.

This Extension Pack introduces a new field to facilitate an explicit distinction between automated and manual trades in support of sell-side’s requirements found in the Market Model Typology (MMT) version 2.2.

This Extension Pack enhances the support of regulatory information on all order and quote related messages and the requirement to maintain instruments and free format text for compliance information in support of the German HFT Act.

On 28 February 2013 the German Parliament adopted the High Frequency Trading Act (Hochfrequenzhandelsgesetz, HFT Act). The HFT Act introduces a license requirement for high frequency traders, imposes conduct of business rules and organizational requirements for algorithmic trading and specifies the definition of market abuse.

The objectives of the Act are to increase the stability and integrity of the German financial markets, to prevent market manipulation by high frequency traders and to protect long-term investors and minimize market risks.

This Extension Pack enhances quoting features to include additional support for reserve (also known as hidden or iceberg) and Axe quote functionality. To support the reserve functionality, a new field specifies the type of quote model being used in conjunction with TotalBidSize(1749) and TotalOfferSize(1750).

The Extension Pack introduces a new formal term of Axe (or Ax) defined as a list of one or more securities that a market participant is seeking to purchase or sell which can be limited to one or more potential counter parties or may be broadly distributed. An Axe does not require a response, but firm quotes and orders may result from an Axe. The QuoteQualifier(695) is extended to specify the quote is an Axe.

This Extension Pack enhances the entitlement capabilities in the message exchange between dealers and their clients. The Extension Pack includes new enumerations of the EntitlementStatus(1883) to provide an option to "defer" a decision on an entitlement request; the addition of a new field EntitlementSubType(2402) to be used in conjunction with EntitlementType(1775) to provide the ability to further limit the scope of entitlements; and the addition of AttachmentGrp component to the Email(35=C) message to allow dealers to exchange disclaimers with their clients.

This Extension Pack enhances the PartyAction(35=DI) messages recently introduced in EP171 to support Prime Broker administrators’ functionality. This allows the prime brokers to programmatically manage trading activity performed by their clients.

The two main business drivers behind this Extension Pack include:

Allow Prime Broker parents to Halt, Suspend and Reinstate FX trading on a per asset class basis across any of their Prime Broker Clients (PBCs).

Enhance regulatory reporting capabilities by allowing users to specify whether or not their orders are being entered by a manual trader or programmatically via an automated execution algorithm.

This Extension Pack includes enhancements in addition to those of EP179 to meet the requirements of the European Market Information Regulation (EMIR) for all clearing houses, dealers and trade participants to report all derivative transactions to Trade Repositories. On implementation of a Trade Repository, it was determined that additional extensions of the RegulatoryTradeIDGrp were needed to meet the requirements. New fields are added to the RegulatoryTradeIDGrp, SideRegulatoryTradeIDGrp and AllocRegulatoryTradeIDGrp components to clarify scope of the regulatory trade ID instance when multiple identifiers are needed.

This Extension Pack enhances the existing credit models and introduces support for the new entity known as a Credit Hub, support for the Swap Execution Facility (SEF) Auto Acceptance rule and provides capability for additional transparency on risk limits. Credit Hubs allow firms to manage risk across multiple SEFs. This enhancement introduces support for Credit Hub identifiers and status indications. The enumerations of RiskLimitCheckStatus(2343) have been extended to accommodate the SEF Auto Acceptance Rule.

This Extension Pack enhances the trade reporting capabilities to meet the requirements of the European Market Information Regulation (EMIR) for all clearing houses, dealers and trade participants to report all derivative transactions to Trade Repositories. The extension pack includes enhancements to the TradeCaptureReport(35=AE) and PositionReport(35=AP) messages, addition of the PartyRoleQualifier(2376) and new role qualifier values, and the addition of regulatory trade identifier components to allocations. Additional workflow descriptions are provided on using the TradeCaptureReport(35=AE) and PositionReport(35=AP) for trading reporting for trade repository reporting under EMIR.

This Extension Pack enhances the FIXML batching methods to be able to indicate whether the collection of messages contained in a batch form a complete picture. The Extension Pack introduces new optional attributes to the FIXML batch header to indicate whether the batch is an incremental update or a complete snapshot.

This Extension Pack extends the support for CFTC Part 43 and 45 extensions to include support for the CFTC regulatory requirements regarding reporting of swaps to Swap Data Repositories in the United States.

This Extension Pack includes enhancements that are used to meet the requirements of swap dealers and major swap participants to provide counterparties with pre-trade mid-market marks. Additionally the proposal also adds the existing RegulatoryTradeIDGrp component to two existing messages.

This Extension Pack defines enhancements and message flows for credit limit checks that occur post-trade. The Extension Pack supports CFTC Regulation 1.74 which requires FCMs to coordinate with each derivatives clearing organization (DCO) to allow the FCM or the DCO to accept or reject each trade submitted to the DCO as quickly as would be technologically practicable if automated systems were used. This Extension Pack enables the distinction between trades that have satisfied a limit or rule and trades that require a positive or negative response from the clearing firm. Additionally, following approval or rejection, this extension enables the clearing house to report the cause for the approval or rejection.

This Extension Pack enhances the pre-trade credit limit check workflows between customers, dealers, clearing members, execution venues (such as swaps execution facilities or SEFs), and the clearinghouse. This work is a response to a regulatory requirement detailed in the CFTC's Rule 1.73 for Dodd-Frank Act and was developed by the Messaging Sub-Group of the FIA/ISDA Joint Working Group.

This Extension Pack enhances the AllocationInstruction message based on gaps identified as a result of the BSWG's Post-trade Allocation Guidelines for Equities.

Update History

[Updated 2015-08-17] Revised the FIXML Schema and FIX Repository to reflect changes in EP161 and EP169. Corrected FIXML Schema and FIX Repositoy to include the enumerations for AllocRejReason(88) = 28 (Incorrect or missing ProcessCode(81)) and 99 (Other).

[Updated 2014-05-13] The final Extension Pack proposal file, FIXML Schema and FIX Repository files have been updated and posted.

This Extension Pack provides very extensive new functionality in FIX to natively support the ability to fully express OTC derivatives for swaps data reporting meeting the requirements of the CFTC Part 43 and Part 45 rules. Phase 2 covers extensions to support Commodity Swaps and Swaptions of IRS, CDS and Commodity Swaps.

Update History

[Resolved 2016-05-02] FIXML Schema missing attributes for components coded with an incorrect type [Jira SPEC-2170]. Field reference for UnderlyingPaymentScheduleRateTreatment(40677) is missing from the UnderlyingPaymentScheduleGrp(ID=4067) component9Jira SPEC-2160]. Resolved in EP208.

[Updated 2015-08-17] Revised FIXML Schema and FIX Repository to reflect changes to EP161. Revised the ASBUILT, FIX Repository and FIXML Schema as per details listed in the file EP169_Revisions_20015_08_17.pdf.

This Extension Pack enhances existing quote/negotiation message flows to allow for specifying a negotiation method that is needed negotiation of fixed income securities. Additional enhancements are also made to allow for the specification of workup (private and public phases) auctions that is commonly found on inter-dealer fixed income trading platforms.

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 and EP162 was corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories; and corrected a data type error in EP168 to resolve FIXML Schema validation error for a new field.

This Extension Pack introduces a new repeating group component that would allow for including "attachment" file(s) to the FIX message, supporting different attachment media types.

The new component is being added only to the TradeCaptureReport(35=AE) and the XMLnonFIX(35=n) messages. When the AttachmentGrp component is used within the TradeCaptureReport message, it should be noted that the attachment should serve to supplement or augment the content of the TradeCaptureReport message.

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 and EP162 was corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

This Extension Pack is in response to new SEC requirements approved in SR-FINRA-2012-026, a rule change relating to the handling of stop and stop limit orders. Two new order types have been added to meet this SEC rule.

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 and EP162 was corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

This Extension Pack provides enhancements to address clearinghouse netting of CDS trades for the same instrument into single trades for keeping positions need to account for the termination of the original cleared trades, in addition to the creation of netted trades, each with a unique USI assigned by the clearinghouse. This EP addresses specifically the ability to accommodate terminated trades in the netting process as well as a method to reference a Unique Swaps Identifier(USI) as part credit events associated with the life cycle of a CDS trade.

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 and EP162 was corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

This Extension Pack provides extensions to FIX to support the regulatory reporting requirements of the Investment Industry Regulatory Organization of Canada (IIROC), specifically addressing the Canadian Univeral Market Integrity Rules (UMIR) regarding short sales.

The rule amendments dealt specifically with:

repeal of tick test

impose pre-borrow requirements for short slaes under certain circumstances

introduced a new "short marking exempt" designation to be used with orders to puchase or sell a security from certain accounts that take a "directionally neutral" trading strategy

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 and EP162 was corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

This Extension Pack provides enhancements to FIX to support the MMT requirements established by the FESE for data consolidation. [UPDATED 2013-12-09] Updated FIXML Schema and FIX Repository due to updates to resolve issues found in the base FIX 5.0 SP2, EP105 EP106 and EP162.

The MMT was developed through the collaborative efforts of exchanges, MTF’s, market data vendors and trade reporting venues as a means of standardizing post-trade data reporting. MMT enables translation between the trade types of a continuous trading platform (RM’s, MTF’s, etc.) with the standard OTC trade conditions recommended in article 24 of (ESMA/CESR10-882).

The MMT Initiative is open to all industry participants to support the idea of one standard and has been developed by experienced professionals ranging from equity market operators, reporting venues and data vendors. It is intended that the delivery of the MMT will facilitate the delivery of a European Consolidated Tape regardless of whether it is delivered by a single provider or by multiple providers delivering consistent but competing consolidated tape solutions.

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 and EP162 was corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

[Updated 2013-02-27] The ASBUILT document is the finalized document corresponding to the published FIXML Schema and FIX Repository. It has been updated to correct minor typographical errors and no changes were made to previously assigned values.

This Extension Pack provides enhancements to the AccountSummaryReport and Position management messages to meet CFTC Part 39 end of day reporting requirements.

On November 8, 2011, the Commodity Futures Trading Commission (“Commission” or “CFTC”) published “Derivatives Clearing Organization (“DCO”) General Provisions and Core Principles,” amending 17 CFR Parts 1, 21, 39, and 140. This final rulemaking includes DCO reporting rules that become effective on November 8, 2012 and are set forth in Part 39, Section 39.19 of the Commission’s regulations. The rules cover daily, quarterly, annual, and event-specific reporting. This gap analyisis pertain to submission of daily reports under:

Section 39.19(c)(1), which requires reports from DCOs for each clearing member (“CM”) by house origin and by each customer origin for all futures, options, and swaps positions, and all securities positions held in a segregated account or pursuant to a cross margining agreement;

Section 39.19(c)(1)(i)(A), addresses initial margin;

Section 39.19(c)(1)(i)(B) addresses variation margin;

Section 39.19(c)(1)(i)(C) addresses other cash flows collected from or paid to each CM;

Section 39.19(c)(1)(D) addresses end-of-day positions. Division of Clearing and Risk (“Division” or “DCR”) will accept existing Part 16 reporting for Futures and Options and Commodity Swaps (Clearport and ICE Europe).

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 and EP162 was corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

This Extension Pack provides very extensive new functionality in FIX to natively support the ability to fully express OTC derivatives for swaps data reporting meeting the requirements of the CFTC Part 43 and Part 45 rules. Phase 1 covers extensions to support Credit Default Swaps and Interest Rate Swaps.

The Dodd-Frank Act’s 17 CFR Part 45 requires clearing houses, swap dealers and major swap participants to report all swap transactions to Swap Data Repositories (SDRs) whether cleared or uncleared. Part 45 data are to be made accessible to the regulators (i.e. CFTC) by the SDRs. 17 CFR Part 43 in turn implements the rules for SDRs to disseminate real-time information on swap transactions to the public. The immediate implementation of data access for both will likely be portals setup by the SDRs.

The Dodd-Frank Act anticipates that regulators and market participants will use data provided by SDRs to analyze the swaps market. Certain swap transaction and pricing data would be used to enhance price discovery and transparency. These data would include asset class, date and time of execution, notional size and price. Other information proposed to be required to be submitted to SDRs would help regulators monitor the market for systemic risk, but would not be made public. This information would include unique legal entity identifiers and “data elements necessary to calculate the market value of a transaction.”

As the FIX Protocol is widely used for electronic trading and has significant industry support in clearing applications. In addition XML representation is the preferred document format among the clearing community. Thus FIXML is a preferred syntax for complying with the new regulations. The current document attempts to map the reporting requirements of Parts 43 and 45 to FIX in order to identify gaps and resulting in extension recommendations.

This Extension Pack has significant expanded the number of components and fields in the FIX Protocol standard. Due to the number of component and fields being added, the Global Technical Committee had decided to use tags in the 40000+ range to accommodate this growth. Some fields that may be more commonly applicable will be assigned tag numbers in the lower tag number range.

NOTE: This Extension Pack contains a number of fields that will utilize an externally maintained code list (a code list maintain separately from the normal Extension Pack process). The code lists can be found here.

Update History

[Resolved 2016-05-02] FIXML Schema missing attributes for components coded with an incorrect type [Jira SPEC-2170]. Field reference for UnderlyingPaymentScheduleRateTreatment(40677) is missing from the UnderlyingPaymentScheduleGrp(ID=4067) component9Jira SPEC-2160]. Resolved in EP208.

[Updated 2015-08-17] Revised the ASBUILT, FIX Repository and FIXML Schema as per details listed in the file EP161_Revisions_2015_08_17.pdf.

[Updated 2014-06-13] Corrected the abbreviations and thus FIXML names for LegProvisionOptionExerciseStartDateAdjusted(40487) and CashSettlRecoveryFactor(40035).

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

[Updated 2013-09-24] The ASBULT documentation along with FIXML Schema and FIX Repository files have been updated from the time of the Beta release in February 2013 to resolve two specific issues raised by implementors:

Reverted the data type change to EventDate(866) and equivalents in UnderlyingEvntGrp and LegEvntGrp from the proposed MonthYear back to LocalMktDate. Introduced three new fields EventMonthYear(2340), LegEventMOnthYear(2341), and UnderlyingEVentMonthYear(2342) to the EvntGrp, LegEvntGrp and UnderlyingEvntGrp respectively, with data type of MonthYear to accommodate expression of an instrument's event in month-year format.

In the AssetSubClass(1939) removed the enumeration value "8" for "Total Return Swaps" and added "TRS" for "Total Return Swaps" to SecurityType(167).

This Extension Pack provides enhancements to the SecurityList(35=y) message to support the Options Clearing Corp.'s requirements to provide theoretical profit and loss data to their customers.

As the sole vendor approved by the SEC to disseminate theoretical profit/loss files for Risk Based Haircut (RBH) and Customer Portfolio Margining (CPM) programs, the OCC is converting their data from flat file to FIXML. This proposal provides enhancements to the SecurityList(35=y) message to meet these data requirements.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

This Extension Pack provides further enhancements to the quote and negotiation work flows as a result of the Global Fixed Income Committee's work on best practices for using FIX for CDS and IRS electronic trading.

The extensions provide the ability for execution venues and dealers to identify the different time periods relevant to quote/negotiation models.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

This Extension Pack provides a new SecurityIDSource(22) value to support Bloomberg's Open Symbology (BSYM) values for security identifiers.

While the FIX Protocol has long supported a SecurityIDSource(22) value of "A" for Bloomberg symbols, the new BSYM initiative warrants a new SecurityIDSource value to distinguish between the Bloomberg legacy symbology from the new Bloomberg Open Symbology. The new SecurityIDSource(22) value "S" has been assigned for this purpose.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

Section 724(a) of the Dodd-Frank Act inserted a new section 4d(f) to the Commodity Exchange Act (ACE), which requires the segregation of cleared swaps, and associated collateral, pertaining to customers. This is referred to as the Legally Segregated Operationally Commingled (LSOC) Model (also known as the Complete Legal Segregation Model). This extension pack provides the ability for Futures Commission Merchants (FCMs) to report to clearing organizatons the information required to meet LSOC reporting obligations. The AccountSummaryReport message has been enhanced for this purpose.

"The LSOC Model requires that cleared swaps customer collateral be segregated from the FCM’s own property, but permits the cleared swaps collateral of all FCM cleared swaps customers to be kept together pre-bankruptcy in one account. The rules, to the extent applicable, parallel (in updated language) the regulations governing the segregated accounts in which FCMs currently hold futures customer collateral pre-bankruptcy.

Following an FCM's bankruptcy, where there is a shortfall in the cleared swaps customer account due to a cleared swaps customer loss that exceeds both the cleared swaps customer’s collateral and the FCM’s ability to pay, the DCO could only use the collateral attributable to the cleared swaps customers whose portfolios of positions at the DCO suffered losses to meet the loss. Thus, all collateral attributable to cleared swaps customers whose portfolios of positions gained or were “flat” (neither gained nor lost), and the remaining collateral attributable to cleared swaps customers whose portfolios of positions lost, would be immediately available for transfer."
[See http://www.cftc.gov/ucm/groups/public/@newsroom/documents/file/sb_factsheet_final.pdf]

Implementing LSOC requires that the FCM clearing members disclose to the DCO:
1. All cleared swaps positions for each customer account, and
2. The value of collateral posted with the DCO attributable to each customer.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

This extension provides a new PartyIDSource(447) to specify the new Legal Entity Identifier or LEI (ISO 17442) as an ID source scheme for identifying parties.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

A new CFTC reporting requirement called Customer Gross Margining (CGM), CFTC Regulation 39.13(g)(8)(i), will require a significant change in how DCOs calculate performance bond (initial margin) requirements for customer positions. DCOs will be required to set minimum performance bond levels as the sum of requirements calculated for each individual customer account. This extension adds new enumerations to the PartyRole(452), PartySubIDType(803) and AdjustmentType(718).

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

Additional Unit of Measure enumerations to support trading in gross tons and kilograms.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

Change of PosMaintStatus(722) field from required to conditionally required when responding to a PositionMaintenanceRequest message.

Change PositionQty component from required to conditionally required when PosMaintAction(712) is any of the action values other than 3=Cancel.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

Addition of two valid values for position quantity types related to expiry and exercises.

On expiration day, the position quantity after the application of trade and post trade activity, but prior to the application of exercises and assignments.

The exercise quantity requested that was not allowed, e.g., the exercise quantity requested that exceeded the final long position.

The requested exercise quantity, which may or may not differ from the exercise quantity.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

New messages to convey complete match events from an exchange to a CCP. A match event is a single matching engine transaction comprising multiple instruments (simple and complex), multiple counterparties, and multiple trade prices (outright and implied).

The following new messages support submission of matched trades (including complex match events with support for implied matches) from an exchange to a CCP.

TradeMatchReport
TradeMatchReport messages are used by exchanges and ECN’s to report matched trades to CCPs as an atomic event. The messages are used to express the one-to-one, one-to-many and many-to-many matches as well as implied matches in which complex instruments can match with simple instruments.

TradeMatchReportAcknowledgement
TradeMatchReportAcknowledgement messages are optionally used by CCPs to acknowledge the receipt of a TradeMatchReport. Their primary use is to send a negative acknowledgement to the exchange indicating a problem with a TradeMatchReport.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

New value to OrdRejReason(103) to indicate that the order has generated an algorithmic risk management event.

Extension submitted by the Risk Management Working Group. As sell side broker risk management systems become more comprehensive, particularly around broker provided execution algorithms, it is important to convey more information regarding algorithm generated risk management events.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

Extension of input source information on Position Maintenance Reports to distinguish requests from programmable and interactive (GUI) interfaces.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

Add-on to EP140. Although CFTC documentation and feedback called for separate units of measure for all prices and quantities, the working group perceived that the unit of measure for strike price and settlement price for reportable options would always be the same. On January 20, 2012, CFTC concurred that there was no known business case but asked us to separate them anticipating that products reportable under the Part 20 rule will become increasingly complex and exotic.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

Further extension to EP105, EP128, and EP129 to support transactional flow for party detail, risk limits and entitlements.

The extension covers the following:

Messages to support transactions (Add, Delete, Modify) that define Party Details, e.g. lists of parties, their status, and their relationships with each other.

Message to support disseminating incremental updates to Entitlements (e.g. what a party, or relationship between parties, is permitted or prohibited from doing.)

Messages to support transactions (Add, Delete, Modify) that define Entitlements.

The following messages are hereby added to FIX with EP146:

PartyDetailsDefinitionRequest

PartyDetailsDefinitionRequestAck

PartyEntitlementsUpdateReport

PartyEntitlementsDefinitionRequest

PartyEntitlementsDefinitionRequestAck

The following messages for parties reference data have already been added to FIX with EP105, EP128, and EP129:

PartyDetailsListRequest

PartyDetailsListReport

PartyDetailsListUpdateReport

PartyRiskLimitsRequest

PartyRiskLimitsReport

PartyRiskLimitsUpdateReport

PartyRiskLimitsDefinitionRequest

PartyRiskLimitsDefinitionRequestAck

PartyEntitlementsRequest

PartyEntitlementsReport

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

Extension of instrument attributes to support the industry initiative to accelerate the adoption of FIX for Fixed Income.

The Global Fixed Income Technical subcommittee has produced a set of best practices documents (4 volumes), Best Practices: FIX Message Flows and Usage for Interest Rate Swaps (IRS) and Credit Default Swaps (CDS). This set of best practices document focuses on the use of FIX 5.0 SP2+ for the pre-trade and trade activities for CDS and IRS securities between the banks (dealer) and the Swap Execution Facilities (SEFs). As a result of this effort some gaps have been identified which are being closed with this extension.

The quote/negotiation model between SEFs and banks requires that under certain situations a new instrument definition needs to be sent embedded within the QuoteRequest or QuoteResponse messages. The new component LegSecurityXML (within the InstrumentLeg component) will enable sending a new multi-leg Instrument XML definition embedded within the standard FIX definition of legs. This facilitates the cases where bespoke CDS and IRS securities are used in the negotiation.

The LegSecurityXML component is modeled in the same manner as the existing SecurityXML component found in the Instrument component.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

Extensions to the tradable quote model to support the separate identification of quote sides by the quote issuer.

New fields QuoteBidID and QuoteOfferID for the Quote and Quote Status Report messages which allows to convert the accepted quote into two orders (bid and ask)and processed independently.

New component group for Quote message to support price and notional value checks.

New valid values for the QuoteRejectReason field to reject due to a failed price or notional value check or due to the unavailability of a reference price.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

Extension of quoting message flows to support the industry initiative to accelerate the adoption of FIX for Fixed Income.

The Global Fixed Income Technical subcommittee has produced a set of best practices documents (4 volumes), Best Practices: FIX Message Flows and Usage for Interest Rate Swaps (IRS) and Credit Default Swaps (CDS). This set of best practices document focuses on the use of FIX 5.0 SP2+ for the pre-trade and trade activities for CDS and IRS securities between the banks (dealer) and the Swap Execution Facilities (SEFs). As a result of this effort some gaps have been identified which are being closed with this extension.

The quote/negotiation model between SEFs and banks requires that under certain situations the QuoteStatusReport would be a bidirectional message given the current message usage definition of the message. A new message, QuoteAck, is being introduced to avoid having a bidirectional message in these flows. The QuoteAck message will only be used in the FIX message flows that support the negotiation dialog between parties where the issuer of the quote (e.g. the broker/dealer) governs the status of the quote.

The QuoteAck message does not supplant the use of QuoteStatusReport by centralized exchange quote models, where the exchange is the final arbiter of the status of a given quote. This is a very important distinction being made to ensure that the introduction of the QuoteAck does not disrupt existing exchange centric quote model implementations. The QuoteAck will be used to respond to a Quote and a QuoteCancel message to either accept or reject those messages.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

Extensions to support explicit relationships between trades and positions in the corresponding messages.

This extension allows to express various types of relationships between transactions, supporting diverse business flows, without making changes to the current FIX semantics.

A trade to identify one or more related trades

A position to identify one or more related trades

A trade to identify one or more related positions

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

TradeQtyGrp - quantities of the trade that have been processed and the type of processing that has occurred for that trade quantity

TradePositionQty - position quantities associated with the trade

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

Extensions of the standard FIX PositionReport message to support large trader reporting rules for physical commodity swaps and swaptions published by the Commodity Futures Trading Commission on July 22, 2011 (76 FR 43851).

The reporting rules became effective on September 20, 2011 and are codified in new Part 20 of the Commission’s regulations. The reporting rules require daily reports from clearing organizations, clearing members and swap dealers.

Submitted open interest data must be reported on a futures equivalent basis in terms of contracts listed in the reporting rules. Open interest attributable to uncleared swaps must also be reported separately by the counterparty to such swaps.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

[Updated 2012-06-25] Update of repository and FIXML Schema due to correction of EP131.

[Updated 2012-03-24] Updated ASBUILT document, FIXML Schema and FIX Repository to correct two issues reported by users related to incorrect data type for a new field and incorrect new enumeration values description.

Additional party role to identify the originating market of an order. Marketplaces may receive orders routed from other related markets. The extension allows to preserve the original market, e.g. to permit the appropriate tax calculation.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

Additional Unit of Measure enumerations to support environmental trading and electrical capacity trading.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

Various extensions to support FINRA’s proposed rule change SR-FINRA-2010-044 to expand the OATS Rules to all NMS stocks.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

Extension of order messages to support additional price checks and extension of order and trade messages with explicit fields to convey rejection information.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

The Futures Industry Association has defined a list of execution source codes in the document “FIA Voice and Direct Identifier” dated November 23, 2010 for use in FIA’s EGUS system which stores and disseminates rate schedules. This proposal extends the FIX Protocol to allow communication of this information. It will facilitate billing according to give-up agreements.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

Minor extensions to support the U.S. tri-party repo market and close gaps identified by the GFIC in reviewing the results of the U.S. Tri-Party Repo Infrastructure Reform Task Force.

The extension includes the definition of user-defined tags for FIX 4.x implementations due to the regulatory nature of the gap analysis.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

Numerous extensions in the area of single leg, multi-leg and cross order handling to cover the requirements of equity options exchanges in the US.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

Extension of Parties Reference Data (see EP105) to include party entitlement information.

Party Entitlement messages include the ability to request entitlements and to report on current entitlement settings.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

Extension of Party Risk Limit messages introduced with EP105, mainly to support the definition of risk limits and to be able to convey current risk exposure.

It comprises messages for dynamic data related to the current risk exposure, warning levels in terms of absolute amounts, risk limit types based on margin requirements calculated from positions, actions after a limit or a warning level has been breached and message to set and maintain risk limits.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

One of the key issues with specific-lot trading is determining how to identify the lot. This issue requires common methods for custodians and Wealth Managers to synchronize on lots, making it both a trading and custodial reconciliation problem. Additionally, this issue became even more critical due to the Cost Basis Regulations requirement by the Emergency Economic Stabilization Act in the US. This act requires that custodians maintain and report to investors and the IRS accurate cost basis on trades. One of the allocation methods explicitly required by the act is the support lot-specific allocation instructions.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

Various extensions to the quote messages to cover total quote quantity, marketplace assigned quote identifiers, quote status for traded (and removed) quotes, initially tradeable quotes and a request to confirm a quote.

Update History

[Resolved 2015-08-17] The enum description for QuoteStatus(297) = 15 (Cancelled due to crossed market) was corrected. Resolved in EP195.

[Resolved 2015-08-17] Corrected the inadvertent change of the field reference of QuoteID(117) in the QuoteCancel(35=Z) message from "Required" to "Not Required". Resolved in EP195.

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

Ability to convey the order priority for orders and quotes on the private/trading session (i.e. in Execution Report and Quote Status Report).

This way a trader can directly compare two of its orders to see which has the best priority, and more importantly see when the priority changes. The order priority is already available in the market data feed but this feed is not always available to the trader.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

Support for the session initiator to reset the MsgSeqNum in the Logon message (not only as part of 24-hour connectivity). The Logout message is extended with error codes to convey that the session state is corrupt and a recovery can be initiated.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

New peg price type to allow short sell peg price orders to comply with the SEC uptick rule.

It comprises extensions of PegPriceType, MDEntryType and TradeCondition to identify a short sale minimum price, either on the order or as part of market data distributed by the exchange.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

General framework for expressing a unit of measure that can represent any amount of any currency. Additionally, it adds support for several new units of measure such as Board Feet and Index Points to describe other derivatives contracts.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

This extension covers part of the SEC amendments for Regulation SHO to place further restrictions on short selling. See also EP120.

Since the SEC amendment provides exemptions to the rule (broker/dealers may submit “short exempt” orders under certain conditions), it is necessary to enhance FIX messages during the trade lifecycle. In particular, a FIX order message must be able to indicate whether the order is exempt from the rule. Furthermore, execution and trade reporting messages need to be able to convey the reason for the exemption.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

This extension covers part of the SEC amendments for Regulation SHO to place further restrictions on short selling. See also EP121.

The rules create a “Circuit Breaker” which changes the trading behavior for a security. FIX is utilized in pre-trade dissemination of securities reference data and market data; it follows that FIX needs a method to disseminate whether this Circuit Breaker is triggered for a given security, as well as a method for a user to query whether the Circuit Breaker is in effect.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

Uniform instrument definition and price specification of Credit Default Swaps, in particular for the TradeCaptureReport message to be used in CDS “OTC Clearing” processes.

Addresses enhancing the capabilities of the Instrument component block to specify the type of CDS reference obligation and new SecurityIDSource enumeration values for Markit RED codes. For TradeCaptureReport, ExecutionReport, NewOrderSingle and NewOrderMultileg messages it defines a new field TradePxNegotiationMethod as well as three other new fields UpfrontPrice, LastUpfrontPx and UpfrontPriceType for specifying upfront price component in swap deals.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

The Account Summary Report provides each Clearing Member with data related to margin for all instrument types and premium and cash settlements in addition to the Clearing Member’s clearing fund account detail.

The Account Summary Report is provided by the CCP to its Clearing Members on a daily basis. It contains margin, settlement, collateral and pay/collect data for each Clearing Member level account type. Clearing Member Account type will be described through use of the Parties component group and Parties sub-component group.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

This extension provides a standard, extensible way for throttle parameters to be communicated between the exchange/market and the messaging source.

Exchanges and Markets are subject to large spikes in volume from various Direct Market Access (DMA) sources including ALGOs, Smart Order Routers and other concentrators of order/quoting flow. These spikes in flow can cause the exchanges to slow down dramatically once a certain overall rate of messaging has been reached and sustained for a period of time.

Many exchanges provide “throttle” mechanisms that provide a method of slowing down messages, rejecting messages or disconnecting sessions above a certain rate of messages. A throttle is normally set at level of so many messages per unit of time per a session, on other exchanges an alternative method of number of outstanding requests may be used. Additionally, some exchanges provide the ability to throttle by message type or take action on a message given that the message is throttled.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

This extension allows to optionally convey an exchange destination for the cancellation of orders. The ExecutionReport is extended contain the desired exchange destination as well as the initial display quantity for a reserve order on an optional basis.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

This extends the reporting capabilities of the Security Definition message.

It enhances the capabilities of the Security Definition message to specify the number of legs in a multi-leg instrument, the reason for rejecting a SecurityDefinitionRequest, a new unit of measure for carbon emissions, a new SecurityTradingStatus of No-Cancel, and a new TrdSubType for reporting OTC auction trades.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

This extension allows a trading system connecting to the exchange to be identified on the level of the FIX engine as well as the application level as part of the Logon message.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

This extension supports regulatory requirements such as FINRA Regulatory Notice 09-54 related to firms submitting non-tape reports. It also supports regulatory requirements related to customer orders that may not be traded at a given market whenever there is a better price at another market. These requirements have in common that other market centers have to be identified.

Within FIX, one can easily indicate the market where a trade executes, e.g. the LastMkt (30) field. However, FIX has no current mechanism to indicate where a trade is reported (aka “prints”). An Exchange typically reports trades that are executed on it. Alternately, trades executed over-the-counter may be reported to a number of Trade Reporting Facilities (TRFs), Alternative Display Facilities (ADFs), or OTC Reporting Facilities (ORFs).

The extension adds new PartyRole values for a (Related) Reporting Market Center as well as for an Away Market.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

SLEDS, or Single Line Entry Differential Spreads, allow traders to submit an order to simultaneously buy and sell two futures contract months. SLEDS orders include a differential amount that relates the front leg to the back leg.

The extension includes alternate trade prices for clearing on the root as well as the side level of the TradeCaptureReport message.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

This extension allows clearing members to submit Long Holdings for each long position so that long positions which have been carried for the longest time can be selected for delivery first.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

Provision of an additional price value for positions that is the result of calculations for additional variation margin to address delivery and settlement risk. The price is different from the settlement price, in that this price is risk adjusted. The price is considered contingent.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

This extension adds support for two more registration numbers used to identify all types of organization in Australia. These are the Australian Company Number and the Australian Registered Body Number.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

Set of extensions to the FIX specification to support OTC trading and clearing. These extensions focus on the processes used in trade submission, clearing and valuation of OTC and off-exchange trades.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

Market data comprises various pieces of information including book data as well as status information. This gap analysis provides a number of extensions in this area to cover the requirements of the Internal Securities Exchange (ISE), one of the major equity options exchanges in the US.

New messages (SecurityMassStatus, SecurityMassStatusRequest) and fields have been added to be able to convey or request the trading status of an entire list (group) of securities. Market data entry types have been extended to cover bids and offers for market orders that by definition cannot be associated with a price level. The granularity of market data feed types has been enhanced through a new field MDSubFeedType. Existing fields MarketID and MarketSegmentID have been added to the root level of MarketDataSnapshotFullRefresh and MarketDataIncrementalRefresh to convey information about the market (segment), allowing the recipient to filter relevant information.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

A set of new messages for requesting and returning party details, relationships, and risk limits. Entitlement information (EP129) as well as the ability to define and maintain party details, entitlements and risk limits are covered by separate extension proposals that have either already been approved or submitted to the GTC.

Update History

[Resolved 2015-08-17] The field NoPartyDetailSubIDs(1694) was corrected to "NotRequired" in the PartyDetailSubGrp component. Resolved in EP195.

[Updated 2013-12-09] Updated FIXML Schema and FIX Repository files due to update to the FIX 5.0 SP2 base. See SP2 20131209 Errata Release Notes for details. An error was also corrected in EP105 to resolve an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository - this change affects the generated FIXML Schema.

This is the second extension submitted by the Investment Industry Regulatory Organization of Canada (IIROC) to further support real-time market surveillance to ensure that trading is carried out in accordance with securities trading rules.

One of the functions of the Investment Industry Regulatory Organization of Canada (IIROC) is to conduct real-time market surveillance to ensure that trading is carried out in accordance with securities trading rules. To facilitate this task, IIROC requires each market to provide real-time market transaction data to its market surveillance system – otherwise referred to as a “market regulation feed”. To help accommodate this requirement, IIROC is in the process of developing a FIX Market Regulation Feed Specification. It is envisioned that the specification will be used by the markets to update and configure their respective FIX engines. IIROC in consultation with the Canadian Markets and FPL has chosen FIX Version 5.0 for the market regulation feed. In May 2009, Extension Pack EP101 was created and ratified by FPL to accommodate IIROC’s market surveillance feed requirements. Since then a small number of new requirements have been identified necessitating a subsequent Gap Analysis.

This extension supports NASD Rule 2860(b)(5) which requires member firms to file, or cause to be filed, reports for each account that has an aggregate position of 200 or more options contracts (whether long or short) on the same side of the market covering the same side of the market covering the same underlying security or index. These reports are referred to as LOPRs.

“NASD Rule 2860(b)(5) requires member firms to file, or cause to be filed, reports for each account that has an aggregate position of 200 or more options contracts (whether long or short) on the same side of the market covering the same side of the market covering the same underlying security or index. These reports are referred to as LOPRs.” (NASD Notice 05-22 Mar 18, 2005) Currently, a NASD member firm “may comply with this requirement by filing, or ensuring that another firm files on its behalf, reports to SIAC.” (NASD Notice 05-22 Mar 18, 2005) Each exchange has a similar rule for large options reporting on file. The Self Regulatory Organizations (SROs) that receive LOPR information include the seven listed options exchanges and the Financial Industry Regulatory Authority (FINRA). SROs will sometimes be referred to as “the exchanges.” Since January, 1987, the Securities Industry Automation Corporation (SIAC) has been responsible for the electronic collection and distribution of Large Options Positions Reports (LOPRs) on a daily basis. Processing procedures at SIAC have been relatively unchanged since the system’s inception and several systems enhancements are currently proposed. The Intermarket Surveillance Group (ISG), the main consumer of the daily LOPR output, has asked the Options Clearing Corporation (OCC) to develop and host a new LOPR interface and data repository.

For the past two years, the FIA Post Trade Working Group (PTWG) has been meeting to come up with a comprehensive set of business processes, work flows and message flows supported by the major clearing entities in Europe and the United States. The effort started by identifying all the business processes supported by CCPs in Europe and US today. The effort is been coordinated by the FIA.

One of the functions of the Investment Industry Regulatory Organization of Canada (IIROC) is to conduct real-time market surveillance to ensure that trading is carried out in accordance with securities trading rules. To facilitate this task, IIROC requires each market to provide real-time market transaction data to its market surveillance system – otherwise referred to as a “market regulation feed”. To help accommodate this requirement, IIROC is in the process of developing a FIX Market Regulation Feed Specification. It is envisioned that the specification will be used by the markets to update and configure their respective FIX engines.

Thomson Reuters is developing a new FIX interface into our automated Spot and Forwards Matching services. The interface is currently being developed using FIX version 5.0 SP1. One of the design requirements for the interface is to utilize existing FIX v5.0 tag definitions wherever possible (e.g. there is a strong desire to minimize the usage of custom tags). This gap analysis is intended to highlight functional areas where, as of the date of this writing, we have been unable to map our existing FX Matching business messaging requirements directly into the FIX v5.0 SP1 specification.

A Matching Instructions component block was added to the Order Entry, Order Modification and Trade Reporting messages. A Matching Instructions component block will allow more complex matching instructions to be added to an Order than is currently possible using the ExecInst (18) field.

This extension describes the requirement for a Yield field to be added to the component for specific application in the Execution Report (35=8). The London Stock Exchange are looking at offering Bond trading and will be using the block of the Execution Report to carry multiple bond trade fills therefore a Yield field at the level is required to meet business need.